This really depends upon your definition of the term 'emotion'. By some definitions, any sort of feeling could be classified as such, like curiosity, desire, or even the act of awareness itself. Parse it enough, then pretty much any sentient behavior can be classified as emotional.
Getting away from abstract philosophy and into more concrete evidence, the Vulcans make for an excellent example. Did anyone ever believe that Spock didn't have an emotional existence, even though he constantly denied having one in the original series? Do we believe that Q doesn't have an emotional life just because he's not an organic being? What about Lore?
It's clear the capacity does in fact exist within the parameters of Data's positronic brain. Ira Graves didn't seem to notice any difference when he possessed Data's body in 'The Schizoid Man'. Lal, who was based upon Data's own design, was capable of manifesting them before she died. Juliana Tainer was duped into thinking she was fully human, which would have required a great deal of emotional sophistication at least capable of human level to accomplish.
From Data's observed behavior in the series, a few things can be conjectured, at least. As pointed out by others, if he was simply employing a sophisticated method of mimicry in order to better assimilate among emotional organics, that wouldn't explain things like his unconscious responses to 'inner life' stimuli like his fidgeting in 'Data's Day', or his need to keep things like a personal log, a pet, or mementos like his Tasha Yar holo. He demonstrated a level of creative capacity through his art, which, while highly representational, did have some abstract elements that show he wasn't completely literal minded.
In short, if he was simply mimicking human behavior, why would he feel a need to mimic it to himself?
As Triumphant mentioned, it seems less that Data has no emotional life/capacity than it seems he has no ability to 'feel' emotions in the visceral, physical sense of the word. A large amount of what we consider 'emotions' don't come from cognitive areas in the strictest sense of the word. There are the midbrain emotions, which are what most people think of when they refer to 'emotions': rage, fear, hunger, etc. and there are the somatic responses to emotional stimuli, which are made by the body and not the brain. Adrenaline rushes, tears and crying, the leaden feeling that comes with depression, etc.
Emotions are a very complex and multifaceted thing. Just check the Wikipedia article to get an idea of just how nebulous a concept we're talking about here... as well as to see how some types (Complex, cognitive emotions) seem to fit Data perfectly, while others (instinctual, basic, non-cognitive emotions) are ones you don't see on display until after the emotion chip.
So my answer to the base question... Yes and No, depending upon what type of emotions you're talking about.